10-Q 1 ind3311910-q.htm 10-Q Document


 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM 10-Q
 

x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2019

OR

o TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

Commission File Number:  000-51404
 
FEDERAL HOME LOAN BANK OF INDIANAPOLIS
(Exact name of registrant as specified in its charter)
 
Federally chartered corporation
(State or other jurisdiction of incorporation or organization)
 
35-6001443
(I.R.S. employer identification number)
8250 Woodfield Crossing Boulevard
Indianapolis, IN
(Address of principal executive offices)
 
46240
(Zip code)
(317) 465-0200
(Registrant's telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing for the past 90 days.
x  Yes            o  No
 
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).
x   Yes            o  No
 
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See definitions of "large accelerated filer," "accelerated filer," "smaller reporting company," and "emerging growth company" in Rule 12b-2 of the Exchange Act. (Check one):
o  Large accelerated filer
o  Accelerated filer
o  Emerging growth company
x Non-accelerated filer (Do not check if a smaller reporting company)
o  Smaller reporting company
 
 
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.   
 
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
o  Yes            x  No
Securities registered pursuant to Section 12(b) of the Act:
Title of each class
Trading Symbol(s)
Name of each exchange on which registered
None
None
None
 
Indicate the number of shares outstanding of each of the issuer's classes of common stock, as of the latest practicable date.
 
Shares outstanding
as of April 30, 2019

Class B Stock, par value $100
21,852,143




Table of Contents
Page
 
 
Number
 
Glossary of Terms
 
Special Note Regarding Forward-Looking Statements
PART I.
FINANCIAL INFORMATION
 
Item 1.
FINANCIAL STATEMENTS (unaudited)
 
 
 
 
 
Statements of Condition as of March 31, 2019 and December 31, 2018
 
 
 
 
Statements of Income for the Three Months Ended March 31, 2019 and 2018
 
 
 
 
Statements of Comprehensive Income for the Three Months Ended March 31, 2019 and 2018
 
 
 
 
Statements of Capital for the Three Months Ended March 31, 2018 and 2019
 
 
 
 
Statements of Cash Flows for the Three Months Ended March 31, 2019 and 2018
 
 
 
 
Notes to Financial Statements:
 
 
Note 1 - Summary of Significant Accounting Policies
 
Note 2 - Recently Adopted Accounting Guidance
 
Note 3 - Investment Securities
 
Note 4 - Advances
 
Note 5 - Mortgage Loans Held for Portfolio
 
Note 6 - Allowance for Credit Losses
 
Note 7 - Derivatives and Hedging Activities
 
Note 8 - Consolidated Obligations
 
Note 9 - Affordable Housing Program
 
Note 10 - Capital
 
Note 11 - Accumulated Other Comprehensive Income
 
Note 12 - Segment Information
 
Note 13 - Estimated Fair Values
 
Note 14 - Commitments and Contingencies
 
Note 15 - Related Party and Other Transactions
 
 
 
Item 2.
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
 
 
Presentation
 
Executive Summary
 
Selected Financial Data
 
Results of Operations and Changes in Financial Condition
 
Operating Segments
 
Analysis of Financial Condition
 
Liquidity and Capital Resources
 
Off-Balance Sheet Arrangements
 
Critical Accounting Policies and Estimates
 
Recent Accounting and Regulatory Developments
 
Risk Management
Item 3.
QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Item 4.
CONTROLS AND PROCEDURES
 
 
 
PART II.
OTHER INFORMATION
 
Item 1.
LEGAL PROCEEDINGS
Item 1A.
RISK FACTORS
Item 6.
EXHIBITS




As used in this Form 10-Q, unless the context otherwise requires, the terms "we," "us," "our," and the "Bank" refer to the Federal Home Loan Bank of Indianapolis or its management. We use acronyms and terms throughout that are defined herein or in the Glossary of Terms.

Special Note Regarding Forward-Looking Statements
 
Statements in this Form 10-Q, including statements describing our objectives, projections, estimates or predictions, may be considered to be "forward-looking statements." These statements may use forward-looking terminology, such as "anticipates," "believes," "could," "estimates," "may," "should," "expects," "will," or their negatives or other variations on these terms. We caution that, by their nature, forward-looking statements involve risk or uncertainty and that actual results either could differ materially from those expressed or implied in these forward-looking statements or could affect the extent to which a particular objective, projection, estimate, or prediction is realized. These forward-looking statements involve risks and uncertainties including, but not limited to, the following:

economic and market conditions, including the timing and volume of market activity, inflation or deflation, changes in the value of global currencies, and changes in the financial condition of market participants;
volatility of market prices, interest rates, and indices or other factors, resulting from the effects of, and changes in, various monetary or fiscal policies and regulations, including those determined by the FRB and the FDIC, or a decline in liquidity in the financial markets, that could affect the value of investments or collateral we hold as security for the obligations of our members and counterparties;
changes in demand for our advances and purchases of mortgage loans resulting from:
changes in our members' deposit flows and credit demands;
federal or state regulatory developments impacting suitability or eligibility of membership classes;
membership changes, including, but not limited to, mergers, acquisitions and consolidations of charters;
changes in the general level of housing activity in the United States and particularly our district states of Michigan and Indiana, the level of refinancing activity and consumer product preferences; and
competitive forces, including, without limitation, other sources of funding available to our members;
changes in mortgage asset prepayment patterns, delinquency rates and housing values or improper or inadequate mortgage originations and mortgage servicing;
ability to introduce and successfully manage new products and services, including new types of collateral securing advances;
political events, including federal government shutdowns, administrative, legislative, regulatory, or other developments, and judicial rulings that affect us, our status as a secured creditor, our members (or certain classes of members), prospective members, counterparties, GSEs generally, one or more of the FHLBanks and/or investors in the consolidated obligations of the FHLBanks;
ability to access the capital markets and raise capital market funding on acceptable terms;
changes in our credit ratings or the credit ratings of the other FHLBanks and the FHLBank System;
changes in the level of government guarantees provided to other United States and international financial institutions;
dealer commitment to supporting the issuance of our consolidated obligations;
ability of one or more of the FHLBanks to repay its portion of the consolidated obligations, or otherwise meet its financial obligations;
ability to attract and retain skilled personnel;
ability to develop, implement and support technology and information systems sufficient to manage our business effectively;
nonperformance of counterparties to uncleared and cleared derivative transactions;
changes in terms of derivative agreements and similar agreements;
loss arising from natural disasters, acts of war or acts of terrorism;
changes in or differing interpretations of accounting guidance; and
other risk factors identified in our filings with the SEC.

Although we undertake no obligation to revise or update any forward-looking statements, whether as a result of new information, future events or otherwise, additional disclosures may be made through reports filed with the SEC in the future, including our Forms 10-K, 10-Q and 8-K.
 




PART I. FINANCIAL INFORMATION
Item 1. FINANCIAL STATEMENTS
Federal Home Loan Bank of Indianapolis
Statements of Condition
(Unaudited, $ amounts in thousands, except par value)
 
March 31, 2019
 
December 31, 2018
Assets:
 
 
 
Cash and due from banks
$
73,099

 
$
100,735

Interest-bearing deposits
316,530

 
1,210,705

Securities purchased under agreements to resell
3,297,519

 
3,212,726

Federal funds sold
3,100,000

 
3,085,000

Trading securities (Note 3)
1,121,889

 

Available-for-sale securities (Note 3)
8,408,391

 
7,703,596

Held-to-maturity securities (estimated fair values of $5,456,391 and $5,676,145, respectively) (Note 3)
5,454,506

 
5,673,720

Advances (Note 4)
32,830,084

 
32,727,668

Mortgage loans held for portfolio, net of allowance for loan losses of $(600) and $(600), respectively (Notes 5 and 6)
11,398,486

 
11,384,978

Accrued interest receivable
132,955

 
124,611

Premises, software, and equipment, net
36,645

 
37,198

Derivative assets, net (Note 7)
175,687

 
116,764

Other assets
36,976

 
33,998

 
 
 
 
Total assets
$
66,382,767

 
$
65,411,699

 
 
 
 
 
 
 
 
Liabilities:
 

 
 
Deposits
$
698,727

 
$
500,440

Consolidated obligations (Note 8):
 

 
 
Discount notes
21,254,090

 
20,895,262

Bonds
40,375,525

 
40,265,465

Total consolidated obligations, net
61,629,615

 
61,160,727

Accrued interest payable
179,334

 
179,728

Affordable Housing Program payable (Note 9)
42,841

 
40,747

Derivative liabilities, net (Note 7)
1,388

 
21,067

Mandatorily redeemable capital stock (Note 10)
174,202

 
168,876

Other liabilities
517,941

 
289,665

Total liabilities
63,244,048

 
62,361,250

 
 
 
 
Commitments and contingencies (Note 14)


 


 
 
 
 
Capital (Note 10):
 

 
 
Capital stock (putable at par value of $100 per share):
 
 
 
Class B-1 issued and outstanding shares: 19,850,109 and 19,306,333, respectively
1,985,011

 
1,930,633

Class B-2 issued and outstanding shares: 3,192 and 3,192, respectively
319

 
319

     Total capital stock
1,985,330

 
1,930,952

Retained earnings:
 
 
 
Unrestricted
855,314

 
855,311

Restricted
229,136

 
222,499

Total retained earnings
1,084,450

 
1,077,810

Total accumulated other comprehensive income (Note 11)
68,939

 
41,687

Total capital
3,138,719

 
3,050,449

 
 
 
 
Total liabilities and capital
$
66,382,767

 
$
65,411,699


The accompanying notes are an integral part of these financial statements.

4



Federal Home Loan Bank of Indianapolis
Statements of Income
(Unaudited, $ amounts in thousands)
 
 
Three Months Ended March 31,
 
 
 
 
2019
 
2018
Interest Income:
 
 
 
 
Advances
 
$
211,754

 
$
143,794

Interest-bearing deposits
 
4,266

 
3,208

Securities purchased under agreements to resell
 
19,814

 
5,097

Federal funds sold
 
20,381

 
12,288

Trading securities
 
2,801

 

Available-for-sale securities
 
49,481

 
40,566

Held-to-maturity securities
 
40,884

 
34,920

Mortgage loans held for portfolio
 
96,253

 
83,554

Other interest income
 

 
12

Total interest income
 
445,634


323,439

 
 
 
 
 
Interest Expense:
 
 
 
 
Consolidated obligation discount notes
 
119,374

 
70,358

Consolidated obligation bonds
 
263,009

 
178,228

Deposits
 
2,994

 
1,977

Mandatorily redeemable capital stock
 
2,718

 
2,745

Total interest expense
 
388,095


253,308

 
 
 
 
 
Net interest income
 
57,539

 
70,131

Provision for (reversal of) credit losses
 
54

 
(104
)
 
 
 
 
 
Net interest income after provision for credit losses
 
57,485

 
70,235

 
 
 
 
 
Other Income:
 
 
 
 
Net gains on trading securities
 
4,071

 

Net gains (losses) on derivatives and hedging activities
 
(3,422
)
 
5,932

Service fees
 
193

 
225

Standby letters of credit fees
 
159

 
98

Other, net
 
2,015

 
(68
)
Total other income (loss)
 
3,016

 
6,187

 
 
 
 
 
Other Expenses:
 
 
 
 
Compensation and benefits
 
14,133

 
12,977

Other operating expenses
 
5,974

 
6,418

Federal Housing Finance Agency
 
996

 
920

Office of Finance
 
1,136

 
1,191

Other
 
1,088

 
891

Total other expenses
 
23,327

 
22,397

 
 
 
 
 
Income before assessments
 
37,174

 
54,025

 
 
 
 
 
Affordable Housing Program assessments
 
3,989

 
5,677

 
 
 
 
 
Net income
 
$
33,185

 
$
48,348


The accompanying notes are an integral part of these financial statements.

5



Federal Home Loan Bank of Indianapolis
Statements of Comprehensive Income
(Unaudited, $ amounts in thousands)
 
 
Three Months Ended March 31,
 
 
 
 
2019
 
2018
 
 
 
 
 
Net income
 
$
33,185

 
$
48,348

 
 
 
 
 
Other Comprehensive Income:
 
 
 
 
 
 
 
 
 
Net change in unrealized gains on available-for-sale securities
 
26,905

 
22,553

 
 
 
 
 
Net non-credit portion of other-than-temporary impairment losses
 

 
29

 
 
 
 
 
Pension benefits, net
 
347

 
323

 
 
 
 
 
Total other comprehensive income

27,252


22,905

 
 
 
 
 
Total comprehensive income
 
$
60,437


$
71,253



The accompanying notes are an integral part of these financial statements.

6



Federal Home Loan Bank of Indianapolis
Statements of Capital
Three Months Ended March 31, 2018 and 2019
(Unaudited, $ amounts and shares in thousands)
 
 
Capital Stock
 
Retained Earnings
 
Accumulated
Other
Comprehensive
Income
 
Total
Capital
 
 
Shares
 
Par Value
 
Unrestricted
 
Restricted
 
Total
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance, December 31, 2017
 
18,578

 
$
1,857,766

 
$
792,783

 
$
183,551

 
$
976,334

 
$
111,406

 
$
2,945,506

 
 
 
 
 
 
 
 
 
 

 
 
 
 
Total comprehensive income
 
 
 
 
 
38,678

 
9,670

 
48,348

 
22,905

 
71,253

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Proceeds from issuance of capital stock
 
231

 
23,179

 
 
 
 
 
 
 
 
 
23,179

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash dividends on capital stock
(6.75% annualized)
 
 
 
 
 
(31,014
)
 

 
(31,014
)
 
 
 
(31,014
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance, March 31, 2018
 
18,809

 
$
1,880,945

 
$
800,447

 
$
193,221

 
$
993,668

 
$
134,311

 
$
3,008,924

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance, December 31, 2018
 
19,310

 
$
1,930,952

 
$
855,311

 
$
222,499

 
$
1,077,810

 
$
41,687

 
$
3,050,449

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total comprehensive income
 
 
 
 
 
26,548

 
6,637

 
33,185

 
27,252

 
60,437

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Proceeds from issuance of capital stock
 
564

 
56,487

 
 
 
 
 
 
 
 
 
56,487

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Shares reclassified to mandatorily redeemable capital stock, net
 
(21
)
 
(2,109
)
 
 
 
 
 
 
 
 
 
(2,109
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash dividends on capital stock
(5.50% annualized)
 
 
 
 
 
(26,545
)
 

 
(26,545
)
 
 
 
(26,545
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance, March 31, 2019
 
19,853

 
$
1,985,330

 
$
855,314

 
$
229,136

 
$
1,084,450

 
$
68,939

 
$
3,138,719




The accompanying notes are an integral part of these financial statements.

7



Federal Home Loan Bank of Indianapolis
Statements of Cash Flows
(Unaudited, $ amounts in thousands)
 
Three Months Ended March 31,
 
2019
 
2018
Operating Activities:
 
 
 
Net income
$
33,185

 
$
48,348

Adjustments to reconcile net income to net cash provided by (used in) operating activities:
 
 
 
Amortization and depreciation
18,150

 
15,140

Changes in net derivative and hedging activities
(114,276
)
 
95,082

Provision for (reversal of) credit losses
54

 
(104
)
Net change in fair-value adjustments on trading securities
(4,071
)
 

Changes in:
 
 
 
Accrued interest receivable
(11,354
)
 
(2,128
)
Other assets
(1,394
)
 
651

Accrued interest payable
(568
)
 
5,063

Other liabilities
(1,918
)
 
3,290

Total adjustments, net
(115,377
)
 
116,994

 
 
 
 
Net cash provided by (used in) operating activities
(82,192
)
 
165,342

 
 
 
 
Investing Activities:
 
 


Net change in:
 
 
 
Interest-bearing deposits
823,372

 
(228,149
)
Securities purchased under agreements to resell
(84,793
)
 
(67,740
)
Federal funds sold
(15,000
)
 
532,000

Trading securities:
 
 
 
Purchases
(1,117,818
)
 

Available-for-sale securities:
 
 
 
Proceeds from maturities

 
12,781

Purchases
(315,000
)
 
(236,181
)
Held-to-maturity securities:
 
 
 
Proceeds from maturities
216,391

 
163,884

Purchases

 
(264,633
)
Advances:
 
 
 
Principal repayments
116,068,059

 
85,397,827

Disbursements to members
(116,072,114
)
 
(84,411,165
)
Mortgage loans held for portfolio:
 
 
 
Principal collections
244,645

 
279,197

Purchases from members
(257,582
)
 
(429,338
)
Purchases of premises, software, and equipment
(1,113
)
 
(1,413
)
Loans to other Federal Home Loan Banks:
 
 
 
Principal repayments

 
300,000

Disbursements

 
(300,000
)
 
 
 
 
Net cash provided by (used in) investing activities
(510,953
)
 
747,070

 



(continued)


The accompanying notes are an integral part of these financial statements.

8



Federal Home Loan Bank of Indianapolis
Statements of Cash Flows, continued
(Unaudited, $ amounts in thousands)
 
Three Months Ended March 31,
 
2019
 
2018
Financing Activities:
 
 
 
Changes in deposits
115,127

 
(43,740
)
Net payments on derivative contracts with financing elements
(975
)
 
(2,324
)
Net proceeds from issuance of consolidated obligations:
 
 
 
Discount notes
95,442,803

 
89,946,844

Bonds
5,429,231

 
4,364,745

Payments for matured and retired consolidated obligations:
 
 
 
Discount notes
(95,087,066
)
 
(90,751,935
)
Bonds
(5,366,770
)
 
(4,396,040
)
Proceeds from issuance of capital stock
56,487

 
23,179

Proceeds from issuance of mandatorily redeemable capital stock
3,704

 

Payments for redemption/repurchase of mandatorily redeemable capital stock
(487
)
 
(540
)
Dividend payments on capital stock
(26,545
)
 
(31,014
)
 
 
 
 
Net cash provided by (used in) financing activities
565,509

 
(890,825
)
 
 
 
 
Net increase (decrease) in cash and due from banks
(27,636
)
 
21,587

 
 
 
 
Cash and due from banks at beginning of period
100,735

 
55,269

 
 
 
 
Cash and due from banks at end of period
$
73,099

 
$
76,856

 
 
 
 
Supplemental Disclosures:
 
 
 
Interest payments
$
379,523

 
$
239,477

Purchases of securities, traded but not yet settled
225,222

 

Affordable Housing Program payments
1,895

 
2,757

Capitalized interest on certain held-to-maturity securities
1,160

 
1,620

Par value of shares reclassified to mandatorily redeemable capital stock, net
2,109

 

 

The accompanying notes are an integral part of these financial statements.

9



Federal Home Loan Bank of Indianapolis
Notes to Financial Statements
(Unaudited, $ amounts in thousands unless otherwise indicated)


Note 1 - Summary of Significant Accounting Policies

We use acronyms and terms throughout these Notes to Financial Statements that are defined herein or in the Glossary of Terms. Unless the context otherwise requires, the terms "Bank," "we," "us," and "our" refer to the Federal Home Loan Bank of Indianapolis or its management.

Basis of Presentation. The accompanying interim financial statements have been prepared in accordance with GAAP and SEC requirements for interim financial information. Accordingly, they do not include all of the information and disclosures required by GAAP for complete financial statements. Certain disclosures that would have substantially duplicated the disclosures in the financial statements, and notes thereto, included in our 2018 Form 10-K have been omitted unless the information contained in those disclosures materially changed. Therefore, these interim financial statements should be read in conjunction with our audited financial statements, and notes thereto, included in our 2018 Form 10-K.

The financial statements contain all adjustments that are, in the opinion of management, necessary for a fair statement of our financial position, results of operations and cash flows for the interim periods presented. All such adjustments were of a normal recurring nature. The results of operations for the periods presented are not necessarily indicative of the results to be expected for the full calendar year or any other interim period.

Our significant accounting policies and certain other disclosures are set forth in our 2018 Form 10-K in Note 1 - Summary of Significant Accounting Policies. See Note 2 - Recently Adopted and Issued Accounting Guidance for the changes effective January 1, 2019.

Use of Estimates. When preparing financial statements in accordance with GAAP, we are required to make subjective assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. The most significant estimates pertain to derivatives and hedging activities, fair value and provision for credit losses. Although the reported amounts and disclosures reflect our best estimates, actual results could differ significantly from these estimates.

Note 2 - Recently Adopted Accounting Guidance

Recently Adopted Accounting Guidance.

Leases (ASU 2016-02). On February 25, 2016, the FASB issued guidance which requires a lessee, in an operating or finance lease, to recognize on the statement of condition a liability to make lease payments and a right-of-use asset representing its right to use the underlying asset for the lease term. However, for a lease with a term of 12 months or less, a lessee is permitted to make an accounting policy election not to recognize a lease asset and lease liability. Under previous guidance, a lessee was not required to recognize a lease asset and lease liability arising from an operating lease on the statement of condition. While this guidance does not fundamentally change lessor accounting, some changes have been made to align that guidance with the lessee guidance and other areas within GAAP.

This guidance was effective for the interim and annual periods beginning on January 1, 2019. Upon adoption, we reported higher assets and liabilities as a result of including right-of-use assets and lease liabilities on the statement of condition, but its effect on our financial condition, results of operations, and cash flows was not material.

Premium Amortization on Purchased Callable Debt Securities (ASU 2017-08). On March 30, 2017, the FASB issued guidance to shorten the amortization period for certain callable debt securities purchased at a premium. Specifically, the guidance requires the premium to be amortized to the earliest call date. No change is required for securities purchased at a discount, which continue to be amortized to their contractual maturities.

This guidance was effective for the interim and annual periods beginning on January 1, 2019. The adoption of this guidance had no effect on our financial condition, results of operations, or cash flows.





Notes to Financial Statements, continued
(Unaudited, $ amounts in thousands unless otherwise indicated)


Targeted Improvements to Accounting for Hedging Activities (ASU 2017-12). On August 28, 2017, the FASB issued amended guidance to improve the financial reporting of hedging relationships to better portray the economic results of an entity's risk management activities in its financial statements. This guidance requires that, for fair-value hedges, the entire change in the fair value of the hedging instrument included in the assessment of hedge effectiveness be presented in the same income statement line that is used to present the earnings effect of the hedged item.

This guidance was effective for the interim and annual periods beginning on January 1, 2019. The adoption of this guidance had no effect on our financial condition, net income, or cash flows. However, the adoption resulted in a prospective reclassification in the statement of income of net losses from the change in fair value of hedging instruments and related hedged items in
fair-value hedging relationships from other income to interest income for the three months ended March 31, 2019 of $13,876.

Inclusion of SOFR OIS Rate as a Benchmark Interest Rate for Hedge Accounting Purposes (ASU 2018-16). On October 25, 2018, to facilitate the LIBOR to SOFR transition, the FASB issued guidance permitting the use of the OIS rate based on SOFR as an eligible U.S. benchmark interest rate for hedge accounting purposes.

This guidance was effective for the interim and annual periods beginning on January 1, 2019, concurrent with the adoption of ASU 2017-12. The adoption of this guidance had no effect on our financial condition, results of operations, or cash flows.

Note 3 - Investment Securities

Trading Securities.
 
 
 
 
 
In January 2019, the Bank began purchasing U.S. Treasury securities classified as trading securities.

Net Gains (Losses) on Trading Securities. The following table presents net gains (losses) on trading securities.


 
Three Months Ended March 31,
 
 
2019
 
2018
Net gains on trading securities held at period end
 
$
4,071

 
$

Net gains (losses) on trading securities that sold/matured during the period
 

 

Net gains on trading securities
 
$
4,071

 
$


Available-for-Sale Securities.

Major Security Types. The following table presents our AFS securities by type of security.
 
 
 
 
Gross
 
Gross
 
 
 
 
Amortized
 
Unrealized
 
Unrealized
 
Estimated
March 31, 2019
 
Cost (1)
 
Gains
 
Losses
 
Fair Value
GSE and TVA debentures
 
$
4,294,155

 
$
43,559

 
$

 
$
4,337,714

GSE MBS
 
4,034,345

 
43,958

 
(7,626
)
 
4,070,677

Total AFS securities
 
$
8,328,500

 
$
87,517

 
$
(7,626
)
 
$
8,408,391

 
 
 
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
 
 
 
GSE and TVA debentures
 
$
4,239,622

 
$
37,458

 
$

 
$
4,277,080

GSE MBS
 
3,410,988

 
27,797

 
(12,269
)
 
3,426,516

Total AFS securities
 
$
7,650,610

 
$
65,255

 
$
(12,269
)
 
$
7,703,596


(1) 
Includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal and, if applicable, fair-value hedging adjustments.





Notes to Financial Statements, continued
(Unaudited, $ amounts in thousands unless otherwise indicated)


Unrealized Loss Positions. The following table presents impaired AFS securities (i.e., in an unrealized loss position), aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.
 
 
Less than 12 months
 
12 months or More
 
Total
 
 
Estimated
 
Unrealized
 
Estimated
 
Unrealized
 
Estimated
 
Unrealized
March 31, 2019
 
Fair Value
 
Losses
 
Fair Value
 
Losses
 
Fair Value
 
Losses
GSE MBS
 
$
1,059,501

 
$
(6,396
)
 
$
138,418

 
$
(1,230
)
 
$
1,197,919

 
$
(7,626
)
Total impaired AFS securities
 
$
1,059,501

 
$
(6,396
)
 
$
138,418

 
$
(1,230
)
 
$
1,197,919

 
$
(7,626
)
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
 
 
 
 
 
 
 
GSE MBS
 
$
1,256,816

 
$
(12,269
)
 
$

 
$

 
$
1,256,816

 
$
(12,269
)
Total impaired AFS securities
 
$
1,256,816


$
(12,269
)

$


$


$
1,256,816


$
(12,269
)
 
 
 
 
 
 
 
 
 
Realized Gains and Losses. There were no sales of AFS securities during the three months ended March 31, 2019. As of March 31, 2019, we had no intention of selling any AFS securities in an unrealized loss position nor did we consider it more likely than not that we will be required to sell these securities before our anticipated recovery of each security's remaining amortized cost basis.
 
 
 
 
 
 
 
 
 
Held-to-Maturity Securities.

Major Security Types. The following table presents our HTM securities by type of security.
 
 
 
 
Gross
 
Gross
 
 
 
 
 
 
Unrecognized
 
Unrecognized
 
 
 
 
Amortized
 
Holding
 
Holding
 
Estimated
March 31, 2019
 
Cost (1)
 
Gains
 
Losses
 
 Fair Value
MBS:
 
 
 
 
 
 
 
 
Other U.S. obligations - guaranteed MBS
 
$
3,389,459

 
$
8,621

 
$
(8,385
)
 
$
3,389,695

GSE MBS
 
2,065,047

 
10,967

 
(9,318
)
 
2,066,696

Total HTM securities
 
$
5,454,506

 
$
19,588

 
$
(17,703
)
 
$
5,456,391

 
 
 
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
 
 
 
MBS:
 
 
 
 
 
 
 
 
Other U.S. obligations - guaranteed MBS
 
$
3,468,882

 
$
11,034

 
$
(1,552
)
 
$
3,478,364

GSE MBS
 
2,204,838

 
7,673

 
(14,730
)
 
2,197,781

Total HTM securities
 
$
5,673,720

 
$
18,707

 
$
(16,282
)
 
$
5,676,145


(1) 
Carrying value equals amortized cost. Includes adjustments made to the cost basis of an investment for accretion, amortization and collection of principal.





Notes to Financial Statements, continued
(Unaudited, $ amounts in thousands unless otherwise indicated)


Unrealized Loss Positions. The following table presents impaired HTM securities (i.e., in an unrealized loss position), aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.
 
 
Less than 12 months
 
12 months or More
 
Total
 
 
Estimated
 
Unrealized
 
Estimated
 
Unrealized
 
Estimated
 
Unrealized
March 31, 2019
 
Fair Value
 
Losses
 
Fair Value
 
Losses
 
Fair Value
 
Losses
MBS:
 
 
 
 
 
 
 
 
 
 
 
 
Other U.S. obligations - guaranteed MBS
 
$
1,219,856

 
$
(6,365
)
 
$
560,179

 
$
(2,020
)
 
$
1,780,035

 
$
(8,385
)
GSE MBS
 
229,530

 
(209
)
 
775,328

 
(9,109
)
 
1,004,858

 
(9,318
)
Total impaired HTM securities
 
$
1,449,386

 
$
(6,574
)
 
$
1,335,507

 
$
(11,129
)
 
$
2,784,893

 
$
(17,703
)
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
 
 
 
 
 
 
 
MBS:
 
 
 
 
 
 
 
 
 
 
 
 
Other U.S. obligations - guaranteed MBS
 
$
829,121

 
$
(873
)
 
$
417,952

 
$
(679
)
 
$
1,247,073

 
$
(1,552
)
GSE MBS
 
435,756

 
(890
)
 
716,647

 
(13,840
)
 
1,152,403

 
(14,730
)
Total impaired HTM securities
 
$
1,264,877

 
$
(1,763
)
 
$
1,134,599

 
$
(14,519
)
 
$
2,399,476

 
$
(16,282
)
 
 
 
 
 
 
 
 
 
Other-Than-Temporary Impairment.
 
 
 
 
 
Evaluation Process and Results - AFS and HTM Securities.

Other U.S. and GSE Obligations and TVA Debentures. For other U.S. obligations, GSE obligations, and TVA debentures, we determined that, based on current expectations, the strength of the issuers' guarantees through direct obligations of or support from the United States government is sufficient to protect us from any losses. As a result, all of the gross unrealized losses as of March 31, 2019 are considered temporary.

Note 4 - Advances

The following table presents advances outstanding by redemption term.
 
 
March 31, 2019
 
December 31, 2018
Redemption Term
 
Amount
 
WAIR %
 
Amount
 
WAIR %
Overdrawn demand and overnight deposit accounts
 
$
3,683

 
2.50

 
$

 

Due in 1 year or less
 
14,861,003

 
2.52

 
15,595,985

 
2.47

Due after 1 year through 2 years
 
2,961,722

 
2.29

 
2,957,861

 
2.19

Due after 2 years through 3 years
 
2,063,334

 
2.45

 
2,444,486

 
2.46

Due after 3 years through 4 years
 
2,474,991

 
2.50

 
2,139,695

 
2.36

Due after 4 years through 5 years
 
2,478,616

 
2.57

 
1,977,925

 
2.76

Thereafter
 
7,990,067

 
2.48

 
7,713,409

 
2.41

Total advances, par value
 
32,833,416

 
2.49

 
32,829,361

 
2.44

Fair-value hedging adjustments
 
(6,733
)
 
 

 
(106,499
)
 
 

Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees
 
3,401

 
 

 
4,806

 
 

Total advances
 
$
32,830,084

 
 

 
$
32,727,668

 
 






Notes to Financial Statements, continued
(Unaudited, $ amounts in thousands unless otherwise indicated)


The following table presents advances outstanding by the earlier of the redemption date or the next call date and next put date.
 
 
Earlier of Redemption
or Next Call Date
 
Earlier of Redemption
or Next Put Date
 
 
March 31,
2019
 
December 31,
2018
 
March 31,
2019
 
December 31,
2018
Overdrawn demand and overnight deposit accounts
 
$
3,683

 
$

 
$
3,683

 
$

Due in 1 year or less
 
21,481,614

 
22,574,897

 
15,603,103

 
15,595,985

Due after 1 year through 2 years
 
2,203,573

 
2,061,411

 
3,761,222

 
3,682,461

Due after 2 years through 3 years
 
1,320,034

 
1,356,186

 
3,044,234

 
3,660,486

Due after 3 years through 4 years
 
1,716,401

 
1,581,905

 
3,156,216

 
2,547,995

Due after 4 years through 5 years
 
1,981,516

 
1,425,525

 
2,359,396

 
2,633,030

Thereafter
 
4,126,595

 
3,829,437

 
4,905,562

 
4,709,404

Total advances, par value
 
$
32,833,416

 
$
32,829,361

 
$
32,833,416

 
$
32,829,361


Credit Risk Exposure and Security Terms. At both March 31, 2019 and December 31, 2018, our top five borrowers held 40% of total advances outstanding, at par. As security for the advances to these and our other borrowers, we held, or had access to, collateral with an estimated fair value at March 31, 2019 and December 31, 2018 that was well in excess of the advances outstanding on those dates, respectively. For information related to our credit risk on advances and allowance methodology for credit losses, see Note 7 - Allowance for Credit Losses in our 2018 Form 10-K.

Note 5 - Mortgage Loans Held for Portfolio

The following tables present information on mortgage loans held for portfolio by term, type and product.
Term
 
March 31, 2019
 
December 31, 2018
Fixed-rate long-term mortgages
 
$
10,185,796

 
$
10,145,476

Fixed-rate medium-term (1) mortgages
 
965,206

 
992,059

Total mortgage loans held for portfolio, UPB
 
11,151,002

 
11,137,535

Unamortized premiums
 
251,230

 
251,778

Unamortized discounts
 
(2,382
)
 
(2,415
)
Fair-value hedging adjustments
 
(764
)
 
(1,320
)
Allowance for loan losses
 
(600
)
 
(600
)
Total mortgage loans held for portfolio, net
 
$
11,398,486

 
$
11,384,978


(1) 
Defined as a term of 15 years or less at origination.
Type
 
March 31, 2019
 
December 31, 2018
Conventional
 
$
10,793,311

 
$
10,769,980

Government-guaranteed or -insured
 
357,691

 
367,555

Total mortgage loans held for portfolio, UPB
 
$
11,151,002

 
$
11,137,535


Product
 
March 31, 2019
 
December 31, 2018
MPP
 
$
10,896,089

 
$
10,875,079

MPF Program
 
254,913

 
262,456

Total mortgage loans held for portfolio, UPB
 
$
11,151,002

 
$
11,137,535


For information related to our credit risk on mortgage loans and allowance methodology for loan losses, see Note 6 - Allowance for Credit Losses.





Notes to Financial Statements, continued
(Unaudited, $ amounts in thousands unless otherwise indicated)


Note 6 - Allowance for Credit Losses

A description of the allowance methodologies for our portfolio segments as well as our policy for impairing financing receivables and charging them off when necessary is disclosed in Note 1 - Summary of Significant Accounting Policies and Note 7 - Allowance for Credit Losses in our 2018 Form 10-K.

Conventional Mortgage Loans.
 
 
 
 
 
 
 
Conventional MPP. The following table presents the activity in the LRA, which is reported in other liabilities.
 
 
Three Months Ended March 31,
LRA Activity
 
2019
 
2018
Liability, beginning of period
 
$
174,096

 
$
148,715

Additions
 
3,070

 
5,146

Claims paid
 
(87
)
 
(170
)
Distributions to PFIs
 
(442
)
 
(417
)
Liability, end of period
 
$
176,637

 
$
153,274

 
 
 
 
 
 
 
 
 
 
 
 
 
Credit Quality Indicators. The tables below present the key credit quality indicators for our mortgage loans held for portfolio.
 
 
 
 
 
 
 
 
 
Delinquency Status as of March 31, 2019
 
Conventional
 
Government
 
Total
Past due:
 
 
 
 
 
 
30-59 days
 
$
50,134

 
$
8,993

 
$
59,127

60-89 days
 
6,542

 
2,008

 
8,550

90 days or more
 
13,089

 
2,273

 
15,362

Total past due
 
69,765

 
13,274

 
83,039

Total current
 
11,017,338

 
350,359

 
11,367,697

Total mortgage loans, recorded investment (1)
 
$
11,087,103

 
$
363,633

 
$
11,450,736

 
 
 
 
 
 
 
Delinquency Status as of December 31, 2018
 
 
 
 
 
 
Past due:
 
 
 
 
 
 
30-59 days
 
$
36,594

 
$
9,352

 
$
45,946

60-89 days
 
7,904

 
2,870

 
10,774

90 days or more
 
13,764

 
1,697

 
15,461

Total past due
 
58,262

 
13,919

 
72,181

Total current
 
11,003,243

 
359,758

 
11,363,001

Total mortgage loans, recorded investment (1)
 
$
11,061,505

 
$
373,677

 
$
11,435,182


Other Delinquency Statistics as of March 31, 2019
 
Conventional
 
Government
 
Total
In process of foreclosure (2)
 
$
5,833

 
$

 
$
5,833

Serious delinquency rate (3)
 
0.12
%
 
0.62
%
 
0.13
%
Past due 90 days or more still accruing interest (4)
 
$
12,203

 
$
2,273

 
$
14,476

On non-accrual status
 
$
1,630

 
$

 
$
1,630

 
 
 
 
 
 
 
Other Delinquency Statistics as of December 31, 2018
 
 
 
 
 
 
In process of foreclosure (2)
 
$
6,836

 
$

 
$
6,836

Serious delinquency rate (3)
 
0.12
%
 
0.45
%
 
0.14
%
Past due 90 days or more still accruing interest (4)
 
$
12,849

 
$
1,697

 
$
14,546

On non-accrual status
 
$
1,762

 
$

 
$
1,762






Notes to Financial Statements, continued
(Unaudited, $ amounts in thousands unless otherwise indicated)


(1) 
The recorded investment in a loan is the UPB of the loan, adjusted for accrued interest, net of any deferred loan fees or costs, unamortized premiums or discounts (which may include the basis adjustment related to any gain or loss on a delivery commitment prior to being funded) and direct charge-offs. The recorded investment is not net of any valuation allowance.
(2) 
Includes loans for which the decision of foreclosure or similar alternative, such as pursuit of deed-in-lieu of foreclosure, has been reported. Loans in process of foreclosure are included in past due categories depending on their delinquency status, but are not necessarily considered to be on non-accrual status.
(3) 
Represents loans 90 days or more past due (including loans in process of foreclosure) expressed as a percentage of the total recorded investment in mortgage loans. The percentage excludes principal and interest amounts previously paid in full by the servicers on conventional loans that are pending resolution of potential loss claims. Our servicers repurchase seriously delinquent government loans, including FHA loans, when certain criteria are met.
(4) 
Although our past due scheduled/scheduled MPP loans are classified as loans past due 90 days or more based on the loan's delinquency status, we do not consider these loans to be on non-accrual status.

Allowance for Loan Losses on Mortgage Loans. The following table presents the components of the allowance for loan losses, including the credit enhancement waterfall for MPP.
Components of Allowance
 
March 31, 2019
 
December 31, 2018
MPP estimated incurred losses remaining after borrower's equity, before credit enhancements (1)
 
$
3,647

 
$
3,505

Portion of estimated incurred losses recoverable from credit enhancements:
 
 
 
 
PMI
 
(671
)
 
(627
)
LRA (2)
 
(1,230
)
 
(1,137
)
SMI
 
(1,261
)
 
(1,256
)
Total portion recoverable from credit enhancements
 
(3,162
)
 
(3,020
)
Allowance for unrecoverable PMI/SMI
 
15

 
15

Allowance for MPP loan losses
 
500

 
500

Allowance for MPF Program loan losses
 
100

 
100

Allowance for loan losses
 
$
600


$
600


(1) 
Based on a loss emergence period of 24 months.
(2) 
Amounts recoverable are limited to (i) the estimated losses remaining after borrower's equity and PMI and (ii) the remaining balance in each pool's portion of the LRA. The remainder of the total LRA balance is available to cover any losses not yet incurred and to distribute any excess funds to the PFIs.





Notes to Financial Statements, continued
(Unaudited, $ amounts in thousands unless otherwise indicated)


The tables below present a rollforward of our allowance for loan losses, the allowance for loan losses by impairment methodology, and the recorded investment in mortgage loans by impairment methodology.
 
 
Three Months Ended March 31,
Rollforward of Allowance for Loan Losses
 
2019
 
2018
Balance, beginning of period
 
$
600

 
$
850

Charge-offs
 
(54
)
 
(150
)
Recoveries
 

 
254

Provision for (reversal of) loan losses
 
54

 
(104
)
Balance, end of period
 
$
600

 
$
850


Allowance for Loan Losses by Impairment Methodology
 
March 31, 2019
 
December 31, 2018
Conventional loans collectively evaluated for impairment
 
$
529

 
$
563

Conventional loans individually evaluated for impairment (1)
 
71

 
37

Total allowance for loan losses
 
$
600

 
$
600

 
 
 
 
 
 
 
 
 
 
Recorded Investment by Impairment Methodology
 
March 31, 2019
 
December 31, 2018
Conventional loans collectively evaluated for impairment
 
$
11,073,598

 
$
11,048,075

Conventional loans individually evaluated for impairment (1)
 
13,505

 
13,430

Total recorded investment in conventional loans
 
$
11,087,103

 
$
11,061,505


(1) 
The recorded investment in our MPP conventional loans individually evaluated for impairment excludes principal previously paid in full by the servicers as of March 31, 2019 and December 31, 2018 of $1,687 and $1,552, respectively, that remains subject to potential claims by those servicers for any losses resulting from past or future liquidations of the underlying properties. However, the MPP allowance for loan losses as of March 31, 2019 and December 31, 2018 includes $17 and $16, respectively, for these potential claims.

Note 7 - Derivatives and Hedging Activities

Managing Credit Risk on Derivatives. We are subject to credit risk due to the risk of nonperformance by the counterparties to our derivative transactions.

Uncleared Derivatives. For certain of our uncleared derivatives, we have credit support agreements that contain provisions requiring us to post additional collateral with our counterparties if there is deterioration in our credit rating. If our credit rating is lowered by an NRSRO, we could be required to deliver additional collateral on uncleared derivative instruments in net liability positions. The aggregate estimated fair value of all uncleared derivative instruments with credit-risk-related contingent features that were in a net liability position (before cash collateral and related accrued interest on cash collateral) at March 31, 2019 was $93, for which we were not required to post collateral. If our credit rating had been lowered by an NRSRO (from an S&P equivalent of AA+ to AA), we would not have been required to deliver additional collateral to our uncleared derivative counterparties at March 31, 2019.

Cleared Derivatives. The clearinghouse determines margin requirements which are generally not based on credit ratings. However, clearing agents may require additional margin to be posted by us based on credit considerations, including but not limited to any credit rating downgrades. At March 31, 2019, we were not required by our clearing agents to post any additional margin.





Notes to Financial Statements, continued
(Unaudited, $ amounts in thousands unless otherwise indicated)


Financial Statement Effect and Additional Financial Information.

Derivative Notional Amounts. We record derivative instruments, related cash collateral received or pledged/posted and associated accrued interest on a net basis, by clearing agent and/or by counterparty when the netting requirements have been met. The following table presents the notional amount and estimated fair value of derivative assets and liabilities.
 
 
 
 
Estimated Fair Value
 
Estimated Fair Value
 
 
Notional
 
of Derivative
 
of Derivative
March 31, 2019
 
Amount
 
Assets
 
Liabilities
Derivatives designated as hedging instruments:
 
 
 
 
 
 
Interest-rate swaps
 
$
36,201,215

 
$
118,458

 
$
141,830

Total derivatives designated as hedging instruments
 
36,201,215

 
118,458

 
141,830

Derivatives not designated as hedging instruments:
 
 

 
 

 
 

Interest-rate swaps
 
1,976,930

 
1,001

 
104

Swaptions
 
1,000,000

 
1

 

Interest-rate caps/floors
 
679,500

 
444

 

Interest-rate forwards
 
51,800

 

 
521

MDCs
 
49,856

 
171

 
15

Total derivatives not designated as hedging instruments
 
3,758,086

 
1,617

 
640

Total derivatives before adjustments
 
$
39,959,301

 
120,075

 
142,470

Netting adjustments and cash collateral (1)
 
 
 
55,612

 
(141,082
)
Total derivatives, net
 
 

 
$
175,687

 
$
1,388

 
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
 
Derivatives designated as hedging instruments:
 
 
 
 
 
 
Interest-rate swaps
 
$
35,135,617

 
$
174,990

 
$
123,331

Total derivatives designated as hedging instruments
 
35,135,617

 
174,990

 
123,331

Derivatives not designated as hedging instruments:
 
 

 
 

 
 

Interest-rate swaps
 
965,930

 
562

 
106

Swaptions
 
950,000

 
105

 

Interest-rate caps/floors
 
679,500

 
999

 

Interest-rate forwards
 
44,100

 

 
202

MDCs
 
43,753

 
146

 
23

Total derivatives not designated as hedging instruments
 
2,683,283

 
1,812

 
331

Total derivatives before adjustments
 
$
37,818,900

 
176,802

 
123,662

Netting adjustments and cash collateral (1)
 
 
 
(60,038
)
 
(102,595
)
Total derivatives, net
 
 

 
$
116,764

 
$
21,067


(1) 
Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at March 31, 2019 and December 31, 2018, including accrued interest, totaled $198,754 and $127,952, respectively. Cash collateral received from counterparties and held at March 31, 2019 and December 31, 2018, including accrued interest, totaled $2,060 and $85,395, respectively.





Notes to Financial Statements, continued
(Unaudited, $ amounts in thousands unless otherwise indicated)


The following table presents separately the estimated fair value of derivative instruments meeting and not meeting netting requirements, including the effect of the related collateral held or pledged.
 
 
March 31, 2019
 
December 31, 2018
 
 
Derivative Assets
 
Derivative Liabilities
 
Derivative Assets
 
Derivative Liabilities
Derivative instruments meeting netting requirements:
 
 
 
 
 
 
 
 
Gross recognized amount
 
 
 
 
 
 
 
 
Uncleared
 
$
102,753

 
$
140,000

 
$
174,725

 
$
106,333

Cleared
 
17,151

 
1,934

 
1,931

 
17,104

Total gross recognized amount
 
119,904

 
141,934

 
176,656

 
123,437

Gross amounts of netting adjustments and cash collateral
 
 
 
 
 
 
 
 
Uncleared
 
(81,380
)
 
(139,148
)
 
(168,426
)
 
(85,491
)
Cleared
 
136,992

 
(1,934
)
 
108,388

 
(17,104
)
Total gross amounts of netting adjustments and cash collateral
 
55,612

 
(141,082
)
 
(60,038
)
 
(102,595
)
Net amounts after netting adjustments and cash collateral
 
 
 
 
 
 
 
 
Uncleared
 
21,373

 
852

 
6,299

 
20,842

Cleared
 
154,143

 

 
110,319

 

Total net amounts after netting adjustments and cash collateral
 
175,516

 
852

 
116,618

 
20,842

Derivative instruments not meeting netting requirements (1)
 
171

 
536

 
146

 
225

   Total derivatives, at estimated fair value
 
$
175,687

 
$
1,388

 
$
116,764